-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, KdBTTmnTwgTs2o3jJP4lo/9IdqndShWuRMRGQEMG48LFcnT60WdqkgnHQWCt5RP7 LxVSToDOvv1e6XWxhb4Low== 0000950136-06-006475.txt : 20060808 0000950136-06-006475.hdr.sgml : 20060808 20060808170727 ACCESSION NUMBER: 0000950136-06-006475 CONFORMED SUBMISSION TYPE: 424B5 PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 20060808 DATE AS OF CHANGE: 20060808 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LEHMAN BROTHERS HOLDINGS INC CENTRAL INDEX KEY: 0000806085 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133216325 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: 424B5 SEC ACT: 1933 Act SEC FILE NUMBER: 333-134553 FILM NUMBER: 061014043 BUSINESS ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 2125267000 MAIL ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: SHEARSON LEHMAN HUTTON HOLDINGS INC DATE OF NAME CHANGE: 19901017 424B5 1 file1.htm

Filed Pursuant to Rule 424(b)(5)
Registration File No.: 333-134553

The information in this preliminary pricing supplement is not complete and may
be changed. This preliminary pricing supplement and the accompanying prospectus
supplements and prospectus are not an offer to sell these securities and we are
not soliciting an offer to buy these securities in any jurisdiction where the
offer or sale is not permitted.

SUBJECT TO COMPLETION, DATED AUGUST 7, 2006

PRELIMINARY PRICING SUPPLEMENT No.
to Prospectus Supplement dated May 30, 2006
to Prospectus Supplement dated May 30, 2006
and Prospectus dated May 30, 2006

[_____] YEELDS(R)
LEHMAN BROTHERS HOLDINGS INC.
MEDIUM-TERM NOTES, SERIES I
20.00% Yield Enhanced Equity Linked Debt Securities Due August 15, 2007
Performance Linked to the Common Stock of United Technologies Corporation (UTX)

Because these notes are part of a series of Lehman Brothers Holdings' debt
securities called Medium-Term Notes, Series I, this preliminary pricing
supplement and the accompanying prospectus supplement, dated May 30, 2006 (the
"YEELDS prospectus supplement") should also be read with the accompanying
prospectus supplement, dated May 30, 2006 (the "MTN prospectus supplement") and
the accompanying prospectus dated May 30, 2006 (the "base prospectus"). Terms
used here have the meanings given them in the YEELDS prospectus supplement, the
MTN prospectus supplement or the base prospectus, unless the context requires
otherwise.

o INDEX STOCK ISSUER: United Technologies Corporation. United Technologies
Corporation is not involved in this offering and has no obligation with respect
to the notes.

o INDEX STOCK: The common stock of the index stock issuer.

o PRINCIPAL AMOUNT: An amount per YEELDS equal to the initial value, and,
in the aggregate, $[ ].

o STATED MATURITY DATE: August 15, 2007, subject to postponement if the
valuation date is postponed. If the stated maturity date is not a business day,
any payment required to be made on the stated maturity date will instead be made
on the next business day, as described on page S-17 of the MTN prospectus
supplement.

o VALUATION DATE: August 8, 2007, subject to postponement if a market
disruption event occurs or if such day is not a scheduled trading day, as
described under the caption "Description of the Notes-Settlement value" on page
SS-14 of the YEELDS prospectus supplement.

o DETERMINATION PERIOD: Five business days.

o COUPON RATE: 20.00% per annum.

o COUPON PAYMENT DATES: The 15th day of each month, commencing on September
15, 2006.

o COUPON RECORD DATES: 15 calendar days prior to each coupon payment date.

o INITIAL VALUE: The average execution price per share for the index stock
that an affiliate of Lehman Brothers Holdings will pay to hedge Lehman Brothers
Holdings' obligations under the notes.

o EQUITY CAP PRICE: 100.00% of the initial value. BECAUSE THE EQUITY CAP
PRICE IS EQUAL TO THE INITIAL VALUE, YOU WILL NEVER RECEIVE MORE THAN THE
PRINCIPAL AMOUNT PER NOTE ON THE STATED MATURITY DATE; YOU MAY RECEIVE LESS.

o BASE DIVIDEND: $0.265, which is the amount of the quarterly dividend per
share of common stock most recently paid by United Technologies Corporation
prior to the date of the pricing supplement.

o EFFECTIVE DIVIDEND ADJUSTMENT DATE: The first business day immediately
following the 2nd day of each January, April, July and October and the valuation
date, as applicable.

o INITIAL MULTIPLIER: 0.843953

o PAYMENT AT MATURITY: On the stated maturity date, Lehman Brothers
Holdings will pay you, per YEELDS, the lesser of:

(1) the alternative redemption amount; and

(2) the equity cap price

Because the principal amount is equal to the initial value, the alternative
redemption amount per YEELDS will equal the settlement value.

The settlement value will be based upon the adjusted closing price of the index
stock on the valuation date, and shall generally be equal to the adjusted
closing price multiplied by the multiplier (which is initially 0.843953), as
described beginning on page SS-14 of the YEELDS prospectus supplement under
"Description of the Notes-Settlement Value".

o STOCK SETTLEMENT OPTION: Yes, at the option of Lehman Brothers Holdings
at maturity, as described under the caption "Description of the Notes-Stock
Settlement" on page SS-19 of the YEELDS prospectus supplement. Lehman Brothers
Holdings will provide the trustee with written notice no later than the
valuation date if it elects the stock settlement option. o DENOMINATIONS: An
amount equal to the initial value and integral multiples thereof.

o LISTING: The YEELDS will not be listed on any exchange.

o CUSIP NO.:

o ISIN NO.:

Investing in the notes involves risks. Risk Factors begin on page SS-7 of the
YEELDS prospectus supplement.

Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of these securities or determined if this
preliminary pricing supplement, any accompanying YEELDS prospectus supplement or
any accompanying prospectus is truthful or complete. Any representation to the
contrary is a criminal offense.

----------------------

Per YEELDS Total
---------------- ---------
Public offering price.................... $ $
Underwriting discount.................... $ $
Proceeds to Lehman Brothers Holdings..... $ $

----------------------

Lehman Brothers Holdings has granted the underwriter an option to purchase,
within 13 days of the original issuance, up to an additional [_____] YEELDS on
the same terms and conditions set forth above solely to cover over-allotments,
if any.

----------------------

The notes are expected to be ready for delivery in book-entry form only through
The Depository Trust Company on or about August 14, 2006.

----------------------

LEHMAN BROTHERS
August , 2006
"YEELDS" is a registered trademark of Lehman Brothers Inc.

EXAMPLES OF AMOUNT PAYABLE AT MATURITY

Here are three examples of the amount that may be payable on the stated maturity
date. In each of these examples it is assumed that (a) United Technologies
Corporation does not change the amount of the quarterly cash dividends that it
pays on its shares of common stock during the term of the YEELDS, (b) the
initial value is $62.71 and (c) the equity cap price is $62.71.

EXAMPLE 1. ASSUMING THE ADJUSTED CLOSING PRICE OF THE INDEX STOCK IS $50.00 AND
THE SETTLEMENT VALUE IS $42.19 AFTER APPLYING THE INITIAL MULTIPLIER:

As a result, because the settlement value of $42.19 is less than $62.71, on the
stated maturity date, you would receive $42.19 per YEELDS, plus accrued but
unpaid coupon payments.

In the case of stock settlement in this example, you would receive on the stated
maturity date the number of shares of the index stock and cash having a value on
the valuation date equal to $42.19 per YEELDS, plus accrued but unpaid coupon
payments. Accordingly, you would receive on the stated maturity date if you held
one YEELDS, $42.19 per YEELDS, plus accrued but unpaid coupon payments. To the
extent that you hold more than one YEELDS, the calculations of cash payments in
lieu of fractional shares would be made on an aggregate, rather than on a per
YEELDS, basis. For example, if you held 494,339 YEELDS, you would receive on the
stated maturity date in total, 417,123 shares of index stock and $12.41 in cash,
plus accrued but unpaid coupon payments.

EXAMPLE 2. ASSUMING THE ADJUSTED CLOSING PRICE OF THE INDEX STOCK IS $70.00 AND
THE SETTLEMENT VALUE IS $59.07 AFTER APPLYING THE INITIAL MULTIPLIER:

As a result, because the settlement value of $59.07 is less than $62.71, on the
stated maturity date, you would receive $59.07 per YEELDS, plus accrued but
unpaid coupon payments.

In the case of stock settlement in this example, you would receive on the stated
maturity date a number of shares of the index stock and cash having a value on
the valuation date equal to $59.07 per YEELDS, plus accrued but unpaid coupon
payments. Accordingly, you would receive on the stated maturity date if you held
one YEELDS, $59.07 per YEELDS, plus accrued but unpaid coupon payments. To the
extent that you hold more than one YEELDS, the calculations of cash payments in
lieu of fractional shares would be made on an aggregate, rather than on a per
YEELDS, basis. For example, if you held 494,339 YEELDS, you would receive on the
stated maturity date in total, 417,151 shares of index stock and $34.73 in cash,
plus accrued but unpaid coupon payments.

EXAMPLE 3. Assuming the adjusted closing price of the index stock is $90.00 and
the settlement value is $75.95 after applying the initial multiplier:

As a result, because $62.71 is less than the settlement value of $75.95, on the
stated maturity date, you would receive $62.71 per YEELDS, plus accrued but
unpaid coupon payments. Because the equity cap price is equal to the initial
value of the notes, you will never receive more than the principal amount per
note on the stated maturity date.

In the case of stock settlement in this example, you would receive on the stated
maturity date a number of shares of the index stock and cash having a value on
the valuation date equal to $62.71 per YEELDS, plus accrued but unpaid coupon
payments. Accordingly, you would receive on the stated maturity date if you held
one YEELDS, $62.71 in cash, plus accrued but unpaid coupon payments. To the
extent that you hold more than one YEELDS, the calculations of cash payments in
lieu of fractional shares would be made on an aggregate, rather than on a per
YEELDS, basis. For example, if you held 494,339 YEELDS, you would receive on the
stated maturity date in total, 344,444 shares of index stock and $38.69 in cash,
plus accrued but unpaid coupon payments.

To the extent the actual settlement value, initial value or equity cap price
differs from the values assumed above or that United Technologies Corporation
changes the amount of the quarterly cash dividends it pays, the results
indicated above would be different.

PS-1

INDEX STOCK ISSUER AND INDEX STOCK

UNITED TECHNOLOGIES CORPORATION

Lehman Brothers Holdings has obtained the following information regarding United
Technologies Corporation from United Technologies Corporation's reports filed
with the SEC.

United Technologies Corporation provides high technology products and services
to the building systems and aerospace industries worldwide. Our operating units
include businesses with operations throughout the world. Otis, Carrier and UTC
Fire & Security serve customers in the commercial and residential property
industries worldwide. Carrier also serves commercial, industrial, transport
refrigeration and food service equipment customers. Pratt & Whitney, Hamilton
Sundstrand and Sikorsky Aircraft primarily serve commercial and government
customers in the aerospace industry. Hamilton Sundstrand and Pratt & Whitney
also serve some customers in industrial markets.

The index stock is registered under the Securities Exchange Act of 1934.
Companies with securities registered under that Act are required to file
periodically certain financial and other information specified by the SEC.
Information provided to or filed with the SEC can be inspected and copied at the
public reference facilities maintained by the SEC or through the SEC's website
described under "Where You Can Find More Information" on page 58 of the
accompanying base prospectus. In addition, information regarding the index stock
issuer may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents.

HISTORICAL INFORMATION ABOUT THE INDEX STOCK

The shares of common stock of United Technologies Corporation are listed on The
New York Stock Exchange under the symbol "UTX".

The following table presents the high and low closing prices for the shares of
common stock of United Technologies Corporation, as reported on The New York
Stock Exchange during each fiscal quarter in 2003, 2004, 2005 and 2006 (through
the business day immediately prior to the date of this preliminary pricing
supplement), and the closing price at the end of each quarter in 2003, 2004,
2005 and 2006 (through the business day immediately prior to the date of this
preliminary pricing supplement).

The historical prices of the index stock are not necessarily indicative of
future performance. Lehman Brothers Holdings cannot assure you that the price of
the index stock will remain at, or increase above, the initial value;
accordingly, there can be no assurance that the payment you receive at maturity
will equal the principal amount. The historical prices below have been adjusted
to reflect any stock splits or reverse stock splits.

All information in the table that follows was obtained from Bloomberg L.P.,
without independent verification.

PS-2

HIGH LOW PERIOD END
-------- -------- ----------
2003
First Quarter ............................ $ 33.11 $ 27.08 $ 28.89
Second Quarter............................ 36.76 29.38 35.42
Third Quarter............................. 40.13 35.65 38.64
Fourth Quarter............................ 47.77 39.94 47.39

2004
First Quarter ............................ $ 48.75 $ 42.03 $ 43.15
Second Quarter............................ 45.74 40.75 45.74
Third Quarter............................. 47.90 44.16 46.69
Fourth Quarter............................ 52.76 44.95 51.68

2005
First Quarter ............................ $ 51.92 $ 49.32 $ 50.83
Second Quarter ........................... 53.94 48.78 51.35
Third Quarter ............................ 51.95 49.35 51.84
Fourth Quarter ........................... 58.03 49.79 55.91
2006
First Quarter............................. $ 59.28 $ 54.47 $ 57.97
Second Quarter ........................... 66.15 57.14 63.42
Third Quarter (through the business day
immediately prior to the date of this
preliminary pricing supplement)......... 63.99 57.96 62.57

PS-3

HYPOTHETICAL RETURNS

The table below illustrates, for a range of hypothetical settlement values on
the valuation date, in each case assuming that (a) the investment is held from
the date on which the YEELDS are first issued until the stated maturity date,
(b) United Technologies Corporation does not change the amount of the quarterly
cash dividends that it pays on its shares of common stock during the term of the
YEELDS, (c) the initial value is $62.71 and (d) the equity cap price is $62.71:

o the percentage change from the issue price to the hypothetical
settlement value on the valuation date;

o the total coupon payments paid or payable on or before the stated
maturity date per YEELDS;

o the hypothetical total amount payable per YEELDS on the stated maturity
date;

o the hypothetical total annualized yield on the YEELDS on the stated
maturity date; and

o the hypothetical total annualized yield from direct ownership of the
index stock.

PERCENTAGE
CHANGE FROM TOTAL COUPON HYPOTHETICAL HYPOTHETICAL
THE ISSUE PAYMENTS PAID HYPOTHETICAL TOTAL TOTAL
HYPOTHETICAL PRICE TO THE OR PAYABLE ON TOTAL AMOUNT ANNUALIZED ANNUALIZED
ADJUSTED HYPOTHETICAL HYPOTHETICAL OR BEFORE THE PAYABLE PER YIELD ON THE YIELD FROM
CLOSING PRICE SETTLEMENT SETTLEMENT STATED YEELDS ON THE YEELDS ON THE DIRECT
ON THE VALUE ON THE VALUE ON THE MATURITY DATE STATED STATED OWNERSHIP OF
VALUATION DATE VALUATION DATE VALUATION DATE PER YIEELDS MATURITY DATE (1) MATURITY (2) INDEX STOCK
- -------------- --------------- -------------- -------------- ------------------ -------------- ------------

$37.6260 $31.7546 -40% $12.5768 $31.7546 -32.6% -38.22%
$50.1680 $42.3394 -20% $12.5768 $42.3394 -13.8% -18.26%
$56.4390 $47.6319 -10% $12.5768 $47.6319 -4.5% -8.28%
$62.7100 $52.9243 0% $12.5768 $52.9243 4.8% 1.69%
$68.9810 $58.2167 10% $12.5768 $58.2167 14.1% 11.66%
$75.2520 $63.5092 20% $12.5768 $62.7100 21.9% 21.63%
$78.3875 $66.1554 25% $12.5768 $62.7100 21.9% 26.61%
$87.7940 $74.0940 40% $12.5768 $62.7100 21.9% 41.56%
$100.3360 $84.6789 60% $12.5768 $62.7100 21.9% 61.48%
$112.8780 $95.2637 80% $12.5768 $62.7100 21.9% 81.39%
$125.4200 $105.8486 100% $12.5768 $62.7100 21.9% 101.3%

- -----------------------

(1) Excludes accrued but unpaid coupon payments payable on the stated maturity
date.

(2) The hypothetical total annualized yield on the stated maturity date
represents the coupon rate per year used in determining the present values,
discounted to the original issue date (computed on the basis of a 360-day
year of twelve 30-day months compounded annually), of all payments made or
to be made on the YEELDS, including the amount payable on the stated
maturity date and all coupon payments through the stated maturity date, the
sum of these present values being equal to the original issue price.

The above figures are for purposes of illustration only. The actual amount
received by investors and the resulting total annualized yield will depend
entirely on the actual settlement value determined by the calculation agent. In
particular, the actual settlement value could be lower or higher than those
reflected in the table.

You should compare the features of the YEELDS to other available investments
before deciding to purchase the YEELDS. Due to the uncertainty concerning the
settlement value on the valuation date, the return on investment with respect to
the YEELDS may be higher or lower than the return available on other securities
issued by Lehman Brothers Holdings or by others. You should reach an investment
decision only after carefully considering the suitability of the YEELDS in light
of your particular circumstances.

PS-4

SUPPLEMENTAL PLAN OF DISTRIBUTION

Lehman Brothers Holdings has agreed to sell to Lehman Brothers Inc. and Lehman
Brothers Inc. has agreed to purchase, all of the YEELDS at the price indicated
on the cover of the pricing supplement.

Lehman Brothers Holdings has agreed to indemnify Lehman Brothers Inc. against
liabilities, including liabilities under the Securities Act of 1933, as amended,
or to contribute to payments that Lehman Brothers Inc. may be required to make
relating to these liabilities as described in the MTN prospectus supplement and
the base prospectus.

Lehman Brothers Inc. will offer the YEELDS initially at a public offering price
equal to the issue price set forth on the cover of the pricing supplement. After
the initial public offering, the public offering price may from time to time be
varied by Lehman Brothers Inc.

Lehman Brothers Holdings has granted to Lehman Brothers Inc. an option to
purchase, at any time within 13 days of the original issuance of the YEELDS, up
to [_____] additional YEELDS solely to cover over-allotments. To the extent that
the option is exercised, Lehman Brothers Inc. will be committed, subject to
certain conditions, to purchase the additional YEELDS. If this option is
exercised in full, the total public offering price, the underwriting discount
and proceeds to Lehman Brothers Holdings would be approximately $[_____],
$[_____] and $[_____], respectively.

Lehman Brothers Holdings expects to deliver the YEELDS against payment on or
about August 14, 2006, which is the fifth business day following the date of the
pricing supplement.

Under Rule 15c6-1 of the Exchange Act, trades in the secondary market generally
are required to settle in three business days, unless the parties to any such
trade expressly agree otherwise. Accordingly, if any purchaser wishes to trade
the YEELDS on the date of the pricing supplement, it will be required, by virtue
of the fact that the YEELDS initially will settle on the fifth business day
following the date of the pricing supplement, to specify an alternate settlement
cycle at the time of any such trade to prevent a failed settlement.

Lehman Brothers Holdings or an affiliate will enter into swap agreements or
related hedge transactions with one of Lehman Brothers Holdings' other
affiliates or unaffiliated counterparties in connection with the sale of the
notes and Lehman Brothers Inc. and/or an affiliate will earn additional income
as a result of payments pursuant to the swap, or related hedge transactions.

PS-5

[_____] YEELDS(R)

LEHMAN BROTHERS HOLDINGS INC.
MEDIUM-TERM NOTES, SERIES I

20.00 % YIELD ENHANCED EQUITY LINKED DEBT SECURITIES DUE AUGUST 15, 2007
PERFORMANCE LINKED TO THE COMMON STOCK OF UNITED TECHNOLOGIES
CORPORATION (UTX)

----------------------

PRELIMINARY PRICING SUPPLEMENT
AUGUST 7, 2006

(INCLUDING PROSPECTUS SUPPLEMENT
DATED MAY 30, 2006

PROSPECTUS SUPPLEMENT
DATED MAY 30, 2006 AND

PROSPECTUS
DATED MAY 30, 2006)

----------------------

LEHMAN BROTHERS

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